Alcoa Backtesting

AA -- USA Stock  

USD 47.26  0.14  0.30%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Corporation and determine expected loss or profit from investing in Alcoa over given investment horizon. Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance.
 Time Horizon     30 Days    Login   to change

Alcoa 'What if' Analysis

June 15, 2018
No Change 0.00  0.0%
In 31 days
July 15, 2018
If you would invest  0.00  in Alcoa on June 15, 2018 and sell it all today you would earn a total of 0.00 from holding Alcoa Corporation or generate 0.0% return on investment in Alcoa over 30 days. Alcoa is related to or competes with Reliance Steel, Allegheny Technologies, Carpenter Technology, Southern Copper, Arconic, and Constellium NV. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products

Alcoa Upside/Downside Indicators

Information Ratio0.10
Maximum Drawdown5.61
Value At Risk2.86
Potential Upside2.44

Alcoa Market Premium Indicators

Risk Adjusted Performance0.0149
Jensen Alpha0.08
Total Risk Alpha0.51
Treynor Ratio1.01

Alcoa Backtested Returns

Macroaxis considers Alcoa not too volatile given 1 month investment horizon. Alcoa secures Sharpe Ratio (or Efficiency) of 0.1242 which signifies that Alcoa had 0.1242% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please makes use of Alcoa Mean Deviation of 1.55 and Risk Adjusted Performance of 0.0149 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alcoa holds performance score of 8. The firm shows Beta (market volatility) of -0.0929 which signifies that as returns on market increase, returns on owning Alcoa are expected to decrease at a much smaller rate. During bear market, Alcoa is likely to outperform the market.. Although it is extremely important to respect Alcoa historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Alcoa technical indicators you can presently evaluate if the expected return of 0.2115% will be sustainable into the future. Please makes use of Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to make a quick decision on weather Alcoa price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.30) 

Weak reverse predictability

Alcoa Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from June 15, 2018 to June 30, 2018 and June 30, 2018 to July 15, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alcoa price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Alcoa price fluctuation can be explain by its past prices. Given that Alcoa Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alcoa for similar time interval.
Correlation Coefficient -0.3
Spearman Rank Test 0.05
Price Variance 0.63
Lagged Price Variance 0.41

Alcoa lagged returns against current returns

 Current and Lagged Values 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alcoa Lagged Returns

 Regressed Prices 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Alcoa and Reliance Steel Aluminum. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance. Please also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.